分析家的“海龟交易系统源码”

VARIABLE:dayCount=1,PositionCount=1,SellSign=0;
 VARIABLE:EntAndExitSign=1,EntPoint=0,ExitPoint=0;
 VARIABLE:True=1,False=0,N=0;
 TR:=MAX(HIGH,CLOSE[1])-MIN(LOW,CLOSE[1]);
 IF BARPOS>=20 THEN BEGIN
 IF BARPOS=20 THEN
 N:=MA(TR,20);
 IF DayCount=5 OR BARPOS=20 THEN BEGIN{5天调整N值}
N:=(19*N+TR)/20;{计算N值}
DayCount:=1;
 END
 DayCount:=DayCount+1;
 EntPoint:=ENTERBARS+1;
 IF EntPoint=EntAndExitSign THEN BEGIN{说明STOP指令买进头寸成功}
PositionCount:=PositionCount+1;{头寸计数}
SellSign:=True;{开始以STOP卖出，如果达到指定的价格}
END
 IF PositionCount=1 THEN BEGIN{第一头寸}
HOW:=CASH*0.01/N;{波动性百分比决定头寸规模}
BUY(HOW,STOP,HHV(H,20));{在20日新高STOP指令买进}
END
 IF PositionCount=2 THEN BEGIN{如到第二头寸}
HOW:=CASH*0.01/N;{波动性百分比决定头寸规模}
BUY(HOW,STOP,ENTERPRICE+0.5*N);{在上头寸(即第一头寸)+0.5个N以STOP指令买进}
END
 IF PositionCount=3 THEN BEGIN{如到第三头寸}
HOW:=CASH*0.01/N;
 BUY(HOW,STOP,ENTERPRICE+0.5*N);{在上头寸(即第二头寸)+0.5个N以STOP指令买进}
END
 IF PositionCount=4 THEN BEGIN
 HOW:=CASH*0.01/N;
 BUY(HOW,STOP,ENTERPRICE+0.5*N);
 END
 IF SellSign=True THEN BEGIN
 ExitPoint:=EXITBARS+1;
 IF ExitPoint=EntAndExitSign THEN BEGIN{说明卖出成功}
PositionCount:=1;{头寸计算复原}
SellSign:=False;
 END
 IF ENTERPRICE-2*N then SELL(100%,STOP,LLV(L,10));{退出离盈利头寸}
ELSE
 SELL(100%,STOP,ENTERPRICE-2*N);{退出亏损头寸}
END
 END;